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Siem
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I have mostly used 2 indicators in the green(Identify Indicators)-step and 3 in the build-step (for GC).
In general, is it important the amount of indicators match in the green-step and the build-step? Would the result for 3-indicator systems become
better when there were 3 indicators in the green-step instead?
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admin
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Quote: Originally posted by Siem  | I have mostly used 2 indicators in the green(Identify Indicators)-step and 3 in the build-step (for GC).
In general, is it important the amount of indicators match in the green-step and the build-step? Would the result for 3-indicator systems become
better when there were 3 indicators in the green-step instead? |
Good question. I simply dont have this in my head now, but the default was 2 indicators for the first pass and 3 for the build.
Ive tested both and suspect it might vary from one market to another.
Danger of using 3 for the first step is more poor indicators might slip through
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admin
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Sept 3 2021
I have started on the documentation on Bitcoin, but its progressing very slowly.
see https://trademaid.info/gsbhelp/BuildingBitcoinsystems.html
New Version of GSB Resource manager that has soft kill of workers, and is 64 bit is released by auto update today
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+1 Siem at 2021-09-03 01:46:59
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admin
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New RM may have reset rego on users who were on 32 bit version. Ive stopped the update for now, just want to see how many people this affects
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admin
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I have made excellent progress on GBTC EFT swing trading
After a week or so work, I was getting say 31 systems in favorites B
Now im peaking 168 systems.
Just be going through the methodology, finding what helps and what doesnt.
Very simple to do, but very cpu intensive.
Tried bar intervals, different profit targets, entry types, secondary filter (SF) entry types, fitness etc. Every market is unique with something that
gives an edge.
Hope to be building systems next week
A little related, here is results for 45 days trading the big btc futures contract.
Ive tried trading the mini contract and thats going poorly in execution issues on ts.
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admin
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I have my first btc swing system. This has not been manually optimized yet. Thats slow as some of the indicators used were cpu intensive
This is how it came out of GSB, but I increased the profit target from 3000 to 5950
The number of trades on the final system is about 100. This is dangerously low,
but the original system before walk forward was done had 247 trades.
Attachment: Login to view the details
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portfolioquanttrader2020
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Peter is for etf or for future?
the performance image from July 28 is with the etf?
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admin
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this is gbtc eft contract. zero slippage was used as early years price was very low, so brokerage and slippage at todays prices would cause results to
degrade a lot in early years
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Siem
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| Quote: Originally posted by admin | I have my first btc swing system. This has not been manually optimized yet. Thats slow as some of the indicators used were cpu intensive
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Hi Peter,
Could you explain a bit why this specific system could be a potentially good system worth of manually optimizing?
It looks complicated to me: the average trade size and the profit factor are better than in the original test, but the WF OOS equity curve is below
the original curve, the anchored stability score is smaller than 40 and the WF OOS NP/DD looks intimidating at me.
How much better do you hope / expect the results get after manually optimizing?
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admin
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Shall do tommrow.
This is likely my finished version.
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admin
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In most cases the oos will be below the orginal curve. Very rare to see otherwise and thats to be expected.
The final curve is done with the benefit of hind site.
Manual opt also shows you if there is bad logic. You might see one indicator doesnt help, or the parameters are irrelevant etc. all a red flag
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admin
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This is the updated Swing2 on gbtc. It took a great deal of time as the indicators used are really CPU intensive. The next system much faster
Swing2 final release has slight different profit target logic for long and short. With such a low number of trades there will be a bit more out of
sample degradtion than typical is what im expecting.
I've also heard from one of the Unger Acady guys that nearly all there bitcoin profits were on intra day, and longer term systems didnt go so well.
Regardless its good to diversify, and whats nice about gbtc is you can do any account size you like.
Here is the new report
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admin
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Here is the next system. Zero slippage used in mht file mainly due to fix cost per share would be really high per transaction in the early days when
gbtc was very low value.
50k capital was used.
This system too was manually optimized.
I got a comment, that people couldnt open mht files.
basically only Internet explorer can open mht files successfully. (no idea on macs)
ive converted the file using portfolio analyst also.
If you unzip it and open txt_1.htm you can use any browser.
there is 2 cents per side slippage used in the PA report (txt_1.zip)
Attachment: Login to view the details
Attachment: Login to view the details
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+1 Bruce at 2021-09-22 04:10:31 +1 saycem at 2021-09-21 23:33:06
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admin
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This is summary of system3, with zero slippage
 
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admin
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I have sort of fixed the issue where only internet explorer works to export files from ts.
PA pro can now make html that all browsers can open.
Esp mac users, please test this
https://trademaid.info/gsbhelp/reports/Swing3/index.html
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+1 Piet at 2021-09-23 23:54:25
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admin
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Bitcoin GBTC documentation done. Settings in next build 62.07 but likely are in current build, but 62.07 has minor tweaks to the settings.
My current PL on the very leveraged illiquid BTC contract is $38,000 for < 2 months trading.
https://trademaid.info/gsbhelp/BuildingBitcoinsystems.html
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+1 bizgozcd at 2021-09-24 06:13:44 +1 Siem at 2021-09-24 04:55:25
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bartek
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What is your advice for the method to create uncorrelated systems for one market? Using different fitness criteria, different set of indicators? Do
you have any?
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admin
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| Quote: Originally posted by bartek | | What is your advice for the method to create uncorrelated systems for one market? Using different fitness criteria, different set of indicators? Do
you have any? |
thats hard to answer
A few markets can have different session times, secondary filters, but not most cant.
Different indicators will help a lot. With the swing systems I sold, the exits played a big role too. However with day trading you have much less
options for exits.
SO when you choose your top systems, as little over lap in indicators is the best place to start. Fitness can be a mild factor to, as this affects
the parameters and also how active the system is too.
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+1 cotila1 at 2021-12-13 11:47:23
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admin
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This is a standard nq system I have been trading. I just happened to look at it recently after some great wins. I should have put a bit more effort
into it. IE When I look now it was clear one of the 3 indicators was weak.
Likely with more work put into WF, and pattern filters like what I did with gsbsys21es, I could improve the system a lot more.
See the last part of this page for the effect of pattern filters
https://trademaid.info/gsbhelp/GSBsys21ES.html
Here is the original system, and then with the weak indicator removed.
On any-indicator crossed its good to see the results of each indicator, one at a time.
Simple comment out the other 2 indicators
  
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Siem
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In GSB there are Training (IS), Test (OOS) and Validation (OOS) percentages or periods and also Nth day Trade (IS), NoTrade (OOS) and All (IS+OOS).
I understand how the Nth day works, but I find it confusing that a date can be both IS and OOS for instance NoTrade and Training or Trade and Test and
it seems that I'm missing a part of the puzzle there.
The modern way of system-building uses the Nth day method - what do you use the Training, Test and Validation percentages / periods settings for - is
it to define Performance Filters periods?
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admin
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Hi Siem
good question.
Only time I would ever use % is / oos is the first time I look at an unknown market. It would give you an instant visual clue if GSB is going to work
with your current settings
So im summary I do not use it.
Typically you do inidcator testing with from say start of where contract is liquid to say 2017 (varies per market)
This is using nth no trade, but when it appears in gsb manager gui, its nth all. so indicator testing is 50% IS of pre 2017
then we do pass 2 building systems with the reduced indcatior set
it varies per macro / market but then we have a number of oos periods from 2017 ... to 2021 (still leave some oos again)
Exact dates can vary, but thats the gist of it
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OUrocketman
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Any Luck on YM?
I've been making my way through the index markets since we have our latest methodology and have been met with great success on ES and NQ. Dow on the
other hand seems much more difficult in 2021 and flat out dreadful in 2022. Is this what others are seeing on their systems or is there something I'm
missing? I've been looking at DOW 30M chart, focusing mainly on CloseToHighLow3, but also have a group of other candidate filters including
CloseLessPrevHighD, FractalDimsension, PercentR, Adx, CloseLessLowestLow, MoonSine (way skeptical of this one), Skew, FastK, CloseToHighLow1, AdxR,
CloseToHighLow2, CloseOverPrevHighD, and S2R2. Thinking of moving to other time frames and potentially look at intermarket and multi time frame
setups also. Before I did that, I thought I'd get a sanity check with the community in case I was trying to reinvent the wheel as they say.
Any input is welcome.
Thanks!
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admin
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@OUrocketman, a user is looking into this. Might be a day or two. I have only one ym system given to me which is not brilliant
Its still very rare for 30 minute to not be the best.
We are testing starting session times earlier, but trading times later in the day.
This is very CPU intensive to do lots of tests, and im working on CL now
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+1 OUrocketman at 2022-03-08 23:56:53
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admin
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Im close to having CL market redone. If you can donate some workers, that will help. Im testing many fitness's to see whats best.
email me your share keys. You will also get my cl settings, though the fitness i used as default was np/dd
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+1 Piet at 2022-03-14 04:42:25
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admin
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just realized, you need 64.64 or 64.65 to run my jobs, Just released it via gsb resource manager
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